{"repo":"XanderRobbins/Arbitrage-Free-Volatility-Surface","free":true,"listed":false,"github":"https://github.com/XanderRobbins/Arbitrage-Free-Volatility-Surface","clone":"git clone https://github.com/XanderRobbins/Arbitrage-Free-Volatility-Surface.git","description":"Arbitrage-free volatility surface construction with SVI & Heston calibration. Python toolkit for options pricing and risk management.","language":"Python","stars":12,"topics":["arbitrage","derivatives-pricing","heston-model","numpy","options-trading","python","quantitative-finance","risk-management","scipy","svi"],"license":"MIT","category":"trading","readme_excerpt":"Arbitrage-Free Volatility Surface Production-grade Python toolkit for constructing arbitrage-free implied volatility surfaces via SVI parameterization and Heston model calibration. --- Features - Robust IV Computation : Jaeckel (2015) rational approximation initial guess + Newton-Raphson + Brent fallback for deep ITM/OTM - Static Arbitrage Checks : Put-call parity, butterfly spreads, calendar arbitrage with configurable tolerances - SVI Parameterization : Fit smooth, arbitrage-free volatility smiles with Gatheral no-arbitrage validation - Heston Calibration : Fast global/local calibration using COS method with Feller condition enforcement - Greeks & Analytics : Compute delta/vega surfaces, term structure analysis, model comparison metrics - Visualization : 3D surface plots, smile comparisons, term structure, Greek surfaces with publication-quality rendering - Clean API : Fluent interface, comprehensive tests (108 passing, 54% coverage), type hints throughout --- Mathematical Background Implied Volatility (Newton-Raphson) Given market option price C market, solve for σ in the Black-Scholes formula: $$C {BS}(S, K, T, r, \\sigma) = C {market}$$ Implementation: Newton-Raphson iteration with vega as the derivative, converges quadratically for prices within intrinsic value bounds. Initial guess uses Jaeckel (2015) rational approximation for better performance on deep OTM/ITM options. SVI Parameterization (Gatheral, 2014) Total implied variance as a function of log-moneyness $k = \\lo","default_branch":null,"files":null,"tree":[],"storefront":"/r/XanderRobbins","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/XanderRobbins/Arbitrage-Free-Volatility-Surface/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}